Interpolation Tool
How to open
For example, click a mortgage bond > this opens a curve chart > click "Interpolation".
Function | Description |
|---|---|
Interpolation | The default interpolation method is cubic splines, with constraints to ensure monotonicity, and overshooting minimisation. The output is the annualized rate for the selected date. |
Curve | Select the curve to interpolate. |
Maturity | Select the desired broken dates. |
Discount factors | Displays the discount factors for the selected dates. |
Cash flow input | Add the scheduled cash flows to calculate the present or future value. |
Present and Future Value | The sum of the inserted cash flows is displayed at the bottom of the window. Calculations are performed in continuous time (that is, not discrete). |